Prerequisite

Baseline: SPY

Backtest period: 5 Years

Data time frame: Daily

1. Portfolio Summary

1.1 Asset Allocation

1.2 Sharpe Ratio

returns
StdDev Sharpe (Rf=0%, p=95%): -0.0161018
VaR Sharpe (Rf=0%, p=95%): -0.0097934
ES Sharpe (Rf=0%, p=95%): -0.0061662

1.3 Portfolio CAPM Statisics

beta.bear beta beta.bull alpha
0.8365337 0.8229033 0.8500824 -5.1e-05

1.4. Additional Information

2. Capital Asset Pricing Model: Asset Anslysis

3. Fama French factors

3.1 Clustering

## $hopkins_stat
## [1] 0.06021097
## 
## $plot

3.2 FF5 Asset Anslysis

3.3 Rolling Beta

4. Orders Records